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How well do classical credit risk pricing models fit swap transaction data?

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Author Info
Didier Cossin
Hugues Pirotte

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Article provided by Blackwell Publishing Ltd in its journal European Financial Management.

Volume (Year): 4 (1998)
Issue (Month): 1 ()
Pages: 65-77
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Handle: RePEc:bla:eufman:v:4:y:1998:i:1:p:65-77

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  1. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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